On non-negative equity guarantee calculations with macroeconomic variables related to house prices
From MaRDI portal
Publication:2670127
DOI10.1016/j.insmatheco.2022.01.001zbMath1484.91368OpenAlexW4205267351MaRDI QIDQ2670127
Enoch Quaye, Radu S. Tunaru, Alexandru M. Badescu
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.01.001
derivatives pricingGARCH-MIDASequity release mortgagesexponential linear pricing kernelhouse price risknon-negative equity guarantee
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Related Items (1)
Cites Work
- MIDAS Regressions: Further Results and New Directions
- Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform
- Profitability and risk profile of reverse mortgages: a cross-system and cross-plan comparison
- To borrow or insure? Long term care costs and the impact of housing
- Modeling volatility persistence of speculative returns: a new approach
- Prepayment risk in reverse mortgages: an intensity-governed surrender model
- The valuation of no-negative equity guarantees and equity release mortgages
- On the valuation of reverse mortgages with regular tenure payments
- Dividend derivatives
- Securitization of Longevity Risk in Reverse Mortgages
- Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
- A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages
This page was built for publication: On non-negative equity guarantee calculations with macroeconomic variables related to house prices
